Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0626
Annualized Std Dev 0.2051
Annualized Sharpe (Rf=0%) 0.3050

Row

Daily Return Statistics

Close
Observations 4130.0000
NAs 1.0000
Minimum -0.1142
Quartile 1 -0.0053
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0066
Maximum 0.1397
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0129
Skewness -0.0781
Kurtosis 11.0511

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0091
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5829
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0183
Modified ES (95%) -0.0236
From Trough To Depth Length To Trough Recovery
2007-07-17 2008-11-20 2013-10-18 -0.5829 1578 343 1235
2017-01-05 2020-03-23 2020-08-20 -0.3365 913 808 105
2015-04-29 2015-09-29 2016-03-17 -0.1476 224 107 117
2016-07-18 2016-11-02 2017-01-03 -0.1402 118 77 41
2020-09-03 2020-09-23 2020-11-06 -0.1121 46 14 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA 0.2 0.9 1.5 -0.6 2
2005 1 0.9 -0.7 -0.1 -0.1 0.4 0.4 0.9 0.6 -0.1 1.1 -0.5 3.9
2006 0.5 1.1 0.2 0.2 2.5 0.8 -1.2 0.6 0.6 -0.5 -0.2 0.2 4.9
2007 -0.2 -0.3 0.5 0.1 0 0.1 0.8 0.8 1 -2.7 0.5 -1 -0.4
2008 1.1 -3 3.3 2.8 0.2 -0.9 -0.8 -1.1 -0.1 2.8 -8.1 3.4 -1.1
2009 -1.7 0.1 3.3 0.7 1.4 0.1 -1 -2.2 -2.5 -2.4 2 -1 -3.3
2010 0.9 0.6 0.8 -0.8 -1.9 0.3 0.2 2.2 0.7 -0.1 1.3 0 4.2
2011 1.6 -2 0.1 -0.7 -1.8 1.6 0.6 -1 -1.6 -2.3 -0.5 0.7 -5.3
2012 1 0.2 -0.2 0.5 -2.4 1.2 0 0.3 0 0.9 0.2 1.3 3.1
2013 1.4 -0.1 0.2 -1.4 -1 -0.2 0.6 -0.9 0.7 -1 0 0.1 -1.5
2014 -0.1 -0.8 0.9 0.7 0.3 0.5 -0.6 0.5 -1.6 1 -1.2 -0.9 -1.5
2015 -1.4 0.3 1.6 0.1 -0.9 0.2 1.3 -2.4 -1.1 0.9 0.6 -1 -1.9
2016 0.3 1.1 1.1 -0.5 -1 0.4 -0.7 -0.4 -0.3 -1.5 -0.2 -0.7 -2.4
2017 -1.7 0.8 -0.3 -0.6 1.1 0.2 0.7 0.7 -0.3 -0.8 0.2 -0.8 -0.8
2018 0.8 -0.1 -0.1 -1.4 0.8 -0.4 -0.3 -0.8 -0.5 0.4 0 0.4 -1.2
2019 -0.1 1 1.3 -0.6 -1.9 0.7 -0.7 0 -0.9 0.7 -0.3 0.1 -0.7
2020 -1.5 0.2 -4 -1.5 1.3 2.1 1.1 1 1.7 -1.3 1.7 0.7 1.3
2021 2 2.6 0.8 NA NA NA NA NA NA NA NA NA 5.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart